We show that a model where investors learn about the persistence of oil-price movements accounts well for the fluctuations in oil-price futures since the late 1990s. Using a DSGE model, we then show that this learning process alters the impact of oil shocks, making it time-dependent and consistent with the muted impact oil-price changes had on macroeconomic outcomes during the early 2000s and again over the past two years. The Spring 2008 increase in oil prices had a larger impact because market participants considered that it was likely driven by permanent shocks.

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Dernières publications

2017MO-03 MO
Méthodes avancées d’évaluation d’investissements / Advanced Methods of Investment Evaluation - Tome 2
Marcel Boyer
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2017MO-02 MO
Méthodes avancées d’évaluation d’investissements / Advanced Methods of Investment Evaluation - Tome 1
Marcel Boyer
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2017s-08 CS
An experimental investigation of rating-market regulation
Claudia Keser, Asri Özgümüs, Emmanuel Peterlé et Martin Schmidt
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2017s-07 CS
Statistical tests of the demand for insurance: an “all or nothing” decision
Anne Corcos, François Pannequin et Claude Montmarquette
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2017RP-02 RP
Politiques favorables à l’innovation en santé
Nadia Benomar, Joanne Castonguay, Marie-Hélène Jobin et François Lespérance
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